Inference on self-exciting jumps in prices and volatility using high frequency measures
Worapree Maneesoonthorn, Catherine S. Forbes and Gael M. Martin
| Year of publication: |
2013
|
|---|---|
| Authors: | Maneesoonthorn, Worapree ; Forbes, Catherine Scipione ; Martin, Gael M. |
| Publisher: |
Clayton, Vic. : Dep. of Econometrics and Business Statistics, Monash Univ. |
| Subject: | Dynamic price and volatility jumps | Stochastic volatility | Hawkes process | Nonlinear state space model | Bayesian Markov chain Monte Carlo | Global financial crisis | Volatilität | Volatility | Markov-Kette | Markov chain | Theorie | Theory | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Finanzkrise | Financial crisis | Zustandsraummodell | State space model | Finanzmarkt | Financial market | Bayes-Statistik | Bayesian inference | Börsenkurs | Share price | Schätzung | Estimation |
| Extent: | Online-Ressource (46 S.) |
|---|---|
| Series: | Working paper / Department of Econometrics and Business Statistics, Monash University. - Clayton, Vic., ZDB-ID 2419033-0. - Vol. 13,28 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010245443